Ricardo Andrés Marino Rojas
b4bad69772
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* First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>
70 lines
2.6 KiB
C#
70 lines
2.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to assert the behavior of <see cref="EmaCrossAlphaModel"/>.
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/// </summary>
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public class EmaCrossAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
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{
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public override void Initialize()
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{
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base.Initialize();
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SetAlpha(new EmaCrossAlphaModel());
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}
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public override void OnEndOfAlgorithm()
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{
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}
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public override int AlgorithmHistoryDataPoints => 152;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new()
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{
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{"Total Trades", "34"},
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{"Average Win", "0.41%"},
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{"Average Loss", "-0.16%"},
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{"Compounding Annual Return", "54.253%"},
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{"Drawdown", "0.900%"},
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{"Expectancy", "1.537"},
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{"Net Profit", "3.627%"},
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{"Sharpe Ratio", "6.744"},
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{"Probabilistic Sharpe Ratio", "94.855%"},
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{"Loss Rate", "29%"},
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{"Win Rate", "71%"},
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{"Profit-Loss Ratio", "2.55"},
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{"Alpha", "0.282"},
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{"Beta", "0.393"},
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{"Annual Standard Deviation", "0.053"},
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{"Annual Variance", "0.003"},
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{"Information Ratio", "2.891"},
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{"Tracking Error", "0.057"},
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{"Treynor Ratio", "0.909"},
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{"Total Fees", "$76.37"},
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{"Estimated Strategy Capacity", "$9600000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "16.91%"},
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{"OrderListHash", "716f18b924c970c234706478f68b75ed"}
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};
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}
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}
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